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Re: st: ivreg2 results do not replicate from stata 9 to stata 11


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: ivreg2 results do not replicate from stata 9 to stata 11
Date   Wed, 12 Aug 2009 20:36:36 +0100

I don't have an answer here, but I want to make it clear that as
-ivreg2- is user-written there is no reason to expect any comments on it
within -help whatsnew-. 

Nick 
n.j.cox@durham.ac.uk 

From: Rey Hernandez <rey.hernandez@gmail.com>

I recently updated from Stata 9 to Stata 11.
Using Stata 11, I opened the Stata 9 do-file and estimated the same
ivreg2 command:
     ivreg2 depvar (endogenousvar= instrument1 instrument2)
controlvariables [aw=weight], first hascon robust

Surprisingly, the standard errors in Stata 11 were much larger than in
Stata 9, though the coefficient estimates were unchanged. I looked in
the 'whatsnew' and found no explanation of changes in this command.

I've also tried:
version 9: ivreg2 depvar (endogenousvar= instrument1 instrument2)
controlvariables [aw=weight], first hascon robust
This did not replicate my original standard errors either.
Does anyone know the reason for the change in the estimated standard
errors?

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